Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0067 |
| Annualized Std Dev | 0.1508 |
| Annualized Sharpe (Rf=0%) | -0.0441 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5580.0000 |
| NAs | 1.0000 |
| Minimum | -0.2011 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1909 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0095 |
| Skewness | -0.5112 |
| Kurtosis | 77.3200 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0069 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0080 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.5507 |
| Historical VaR (95%) | -0.0122 |
| Historical ES (95%) | -0.0210 |
| Modified VaR (95%) | -0.0021 |
| Modified ES (95%) | -0.0021 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-02-19 | 2008-12-16 | NA | -0.5507 | 5550 | 2465 | NA |
| 1999-01-05 | 1999-01-14 | 1999-02-05 | -0.0503 | 23 | 8 | 15 |
| 1999-02-09 | 1999-02-09 | 1999-02-10 | -0.0110 | 2 | 1 | 1 |
| 1999-02-17 | 1999-02-17 | 1999-02-18 | -0.0055 | 2 | 1 | 1 |
| 1999-02-11 | 1999-02-11 | 1999-02-16 | -0.0055 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | 0 | 0.6 | 0.6 | -0.7 | 0.7 | 0.7 | 0.7 | 0 | 0 | 2.7 |
| 2000 | 0 | 0 | 0.7 | -0.7 | 0 | 0.7 | 0.7 | 1.3 | 0.9 | -0.9 | 0.3 | 0.5 | 3.6 |
| 2001 | 0.4 | 0.4 | -0.3 | 0 | -1 | 0.7 | -0.6 | 0.8 | -0.2 | 0.7 | 0.1 | 0.8 | 1.7 |
| 2002 | 0.8 | 0.3 | 0.3 | 0.8 | 0.4 | 0.3 | -0.9 | 1 | 0.5 | -0.4 | 0.2 | 0.2 | 3.3 |
| 2003 | 0.2 | 0 | 0.1 | 0.7 | 0 | 0.6 | 0.3 | 0.6 | 0.3 | -0.8 | -0.6 | 0.8 | 2.2 |
| 2004 | 0.3 | -0.8 | -0.5 | 0.5 | 0.6 | 0.1 | 0.6 | 0.8 | -1.5 | -0.5 | 0.4 | 1.1 | 1.1 |
| 2005 | 0.1 | -0.3 | 0.2 | -0.6 | 0.5 | -0.1 | 0.8 | 0.1 | 0.1 | 0.2 | -0.8 | 1.2 | 1.3 |
| 2006 | 0.6 | -1 | 1.3 | -0.9 | 0.5 | 0.6 | -0.8 | -0.8 | 1.3 | -1.9 | 1.6 | 0.7 | 1 |
| 2007 | 0.1 | 0.5 | 0.2 | 0.4 | 0.6 | 0.5 | -0.7 | 0.9 | -0.5 | 0.1 | 1.8 | 2.1 | 6 |
| 2008 | -0.4 | -0.5 | 1.4 | 2.1 | -0.5 | -0.1 | 0.5 | 0 | 4.5 | -0.5 | -1.4 | 1.8 | 7 |
| 2009 | 0.3 | -0.6 | 1.4 | 1.5 | 0.5 | 1.2 | 2.5 | 1.5 | 1.1 | -0.6 | 0.4 | 0.5 | 10.2 |
| 2010 | -0.3 | 0.5 | -0.6 | -0.1 | 0.7 | 0.7 | 0.5 | -0.4 | -0.1 | -0.4 | -1.2 | 1.4 | 0.7 |
| 2011 | 1.5 | -0.7 | 0.7 | 0.2 | 0.9 | 1 | 2.4 | 1.4 | -0.7 | 0.3 | 0.5 | -0.4 | 7.3 |
| 2012 | -0.6 | 0.7 | -1.1 | 0.1 | 0 | 1.4 | 0.5 | 0.7 | -1.1 | -0.5 | 0.6 | 0.4 | 1.2 |
| 2013 | 0.2 | 0.7 | -1.4 | 0.7 | -2.1 | 0 | -0.6 | -0.9 | 0.1 | -0.8 | -0.5 | -0.7 | -5.2 |
| 2014 | 0.2 | -0.6 | -0.2 | 0.5 | 0.3 | 0 | 0.1 | 0.2 | 0.5 | -0.2 | 0.2 | 0.5 | 1.7 |
| 2015 | 0.8 | 0.2 | 0.4 | -0.4 | 0.2 | 0.2 | 0.3 | -0.4 | 0.6 | 0.3 | 0.2 | 0.5 | 3 |
| 2016 | 0.2 | 0.2 | 0.4 | -0.4 | 0.4 | 0.2 | -0.4 | 1.9 | 0 | 0.7 | -0.7 | -0.1 | 2.4 |
| 2017 | -0.2 | -0.5 | -0.3 | -0.3 | 0.4 | 0.2 | 0.3 | 0 | 0.5 | 0.3 | 0.5 | -0.1 | 0.8 |
| 2018 | 0.1 | -0.1 | 0.6 | -0.1 | -0.2 | 0.4 | -0.7 | -0.4 | 0.3 | 0.3 | 0.2 | 0.1 | 0.7 |
| 2019 | 0.9 | -0.4 | 0.2 | 0.1 | -0.2 | 0.2 | 0.1 | -0.3 | 0 | -0.1 | 0.1 | 0 | 0.6 |
| 2020 | 0 | -1.7 | -3.4 | -0.9 | 1.4 | 0.3 | 0.2 | 0.5 | 0.5 | -0.2 | -0.1 | 0.4 | -3 |
| 2021 | 0.7 | 1.3 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
